31 January 2014

3 minute read

### References

[1] Correlation is defined as a 100-day exponentially weighted covariance divided by the 100-day exponentially weighted standard deviations, assuming a zero mean return for all assets. For each pair of assets we compute the correlations from the earliest date when both assets have started trading, excluding values in the warm-up period of 100 days.

[2] We define turnover as the ratio of the mean absolute position to the mean absolute five-day change in position, which roughly indicates how many weeks it takes to close a position, but ignores small trades back and forth.